The easiest way is to copy them to your computer's hard disk and then use the Import button on the lower right of the Library module to bring them into Lightroom. You'll have the choice of having Lightroom's library copy them, or simply refer to them in their existing location.

You can also set the program to automatically load files when a card is placed into an attached reader.

Forget about trying to connect your camera to the computer. For a variety of reasons buying a simple card reader is a much better approach.